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    <title>EconStor Community: Queen’s Economics Department (QED), Queen’s University</title>
    <link>http://hdl.handle.net/10419/66974</link>
    <description>Queen’s Economics Department (QED), Queen’s University</description>
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  <item rdf:about="http://hdl.handle.net/10419/67881">
    <title>The information content of treasury bond options concerning future volatility and price jumps</title>
    <link>http://hdl.handle.net/10419/67881</link>
    <description>Title: The information content of treasury bond options concerning future volatility and price jumps
&lt;br/&gt;
&lt;br/&gt;Authors: Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
&lt;br/&gt;
&lt;br/&gt;Abstract: We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of associated bond options. Recent nonparametric statistical techniques are used to separate realized volatility into its continuous sample path and jump components, thus enhancing forecasting performance. We generalize the heterogeneous autoregressive (HAR) model to include implied volatility as an additional regressor, and to the separate forecasting of the realized components. We also introduce a new vector HAR (VecHAR) model for the resulting simultaneous system, controlling for possible endogeneity of implied volatility in the forecasting equations. We show that implied volatility is a biased and inefficient forecast in the bond market. However, implied volatility does contain incremental information about future volatility relative to both components of realized volatility, and even subsumes the information content of daily and weekly return based measures. Perhaps surprisingly, the jump component of realized bond return volatility is, to some extent, predictable, and bond options appear to be calibrated to incorporate information about future jumps in Treasury bond prices, and hence interest rates.</description>
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  <item rdf:about="http://hdl.handle.net/10419/67880">
    <title>The structure of Canada's immigration system and Canadian labour market outcomes</title>
    <link>http://hdl.handle.net/10419/67880</link>
    <description>Title: The structure of Canada's immigration system and Canadian labour market outcomes
&lt;br/&gt;
&lt;br/&gt;Authors: Sweetman, Arthur; Warman, Casey
&lt;br/&gt;
&lt;br/&gt;Abstract: Two distinct issues are addressed. First, we explore earnings and employment outcome differences across categories of the immigrant selection system and directly link the points system to these outcomes, which is relatively rare in Canadian research. Second, the appropriateness of alternative approaches to selecting the sample for analysis and defining the dependent variable(s) are investigated to determine their relevance for answering different policy questions. Appreciable differences in outcomes across immigrant categories are observed with, as expected, the economic class having superior earnings in the long run. However, employment in some categories is comparable to, or higher than, that of the economic class, especially in the short run. Notably, privately sponsored refugees have relatively good outcomes, particularly in the short run and for employment. Their outcomes are particularly strong conditional on observed characteristics and plausibly point to the value of local information and networks.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/67879">
    <title>Option pricing with V. G. Martingale components</title>
    <link>http://hdl.handle.net/10419/67879</link>
    <description>Title: Option pricing with V. G. Martingale components
&lt;br/&gt;
&lt;br/&gt;Authors: Milne, Frank; Madan, Dilip
&lt;br/&gt;
&lt;br/&gt;Abstract: European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). The incomplete markets equilibrium change of measure is approximated and identified using the log return mean. variance, and kurtosis. An exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/67878">
    <title>The stock of intangible capital in Canada: Evidence from the aggregate value of securities</title>
    <link>http://hdl.handle.net/10419/67878</link>
    <description>Title: The stock of intangible capital in Canada: Evidence from the aggregate value of securities
&lt;br/&gt;
&lt;br/&gt;Authors: Belhocine, Nazim
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper measures the size of the stock of intangible capital in Canada using newly released data on the market value of all securities in the economy. The approach taken relies on a quantitative application of the q-theory of investment to generate the quantity of capital owned by firms. I find that the intangible capital stock accounted for approximately 30% of overall capital since 1994. Of this, the R&amp;D reported by national accounts makes up only 23%. These results imply that official Canadian statistics failed to account for 26% of the value of the capital stock in their 2005 quarterly data collection. In addition, I find that the magnitude of the intangible capital stock is comparable to that reported using a cost approach, confirming the size of the findings and ascertaining the need to include intangibles in empirical models and in investment data.</description>
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